GBPGBP (Global Business Program)
ECN300FB-A5529（経済学 / Economics 300）Investments BInvestments B
Yongjin KIM
授業コードなどClass code etc
| 学部・研究科Faculty/Graduate school | GBPGBP (Global Business Program) |
| 添付ファイル名Attached documents | |
| 年度Year | 2023 |
| 授業コードClass code | A5529 |
| 旧授業コードPrevious Class code | |
| 旧科目名Previous Class title | |
| 開講時期Term | 春学期授業/Spring |
| 曜日・時限Day/Period | 金2/Fri.2 |
| 科目種別Class Type | |
| キャンパスCampus | 市ヶ谷 / Ichigaya |
| 教室名称Classroom name | 市富士‐F507 |
| 配当年次Grade | 2～4 |
| 単位数Credit(s) | 2 |
| 備考（履修条件等）Notes | |
| 他学部公開科目Open Program | |
| 他学部公開（履修条件等）Open Program (Notes) | |
| グローバル・オープン科目Global Open Program | ○ |
| 成績優秀者の他学部科目履修制度対象Interdepartmental class taking system for Academic Achievers | |
| 成績優秀者の他学部科目履修（履修条件等）Interdepartmental class taking system for Academic Achievers (Notes) | |
| 実務経験のある教員による授業科目Class taught by instructors with practical experience | ○ |
| SDGsCPSDGs CP | |
| アーバンデザインCPUrban Design CP | |
| ダイバーシティCPDiversity CP | |
| 未来教室CPLearning for the Future CP | |
| カーボンニュートラルCPCarbon Neutral CP | |
| 千代田コンソ単位互換提供（他大学向け）Chiyoda Campus Consortium | |
| カテゴリーCategory |
専門教育科目／Business Administration Courses 専門科目／Intermediate/Advanced Courses of Business Administration |
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授業の概要と目的（何を学ぶか）Outline and objectives
A derivative, or derivative security is an agreement between two counterparties whose payoff depends on the value of an underlying asset. Forwards, futures, options, and swaps are representative derivatives. Derivatives are actively traded throughout the world and their market is exceedingly large. This course aims to help students understand the basic structures of derivative securities and how to value them. Comprehension of derivatives will come in very useful in case you work in the financial industry in the future. Due to time constraints, swaps will be briefly discussed only if we get ahead of schedule.
到達目標Goal
Upon completing this course, students will be able to
1) understand the characteristics of various types of derivatives.
2) understand how to value forwards and futures.
3) understand how to value call and put options.
4) intuitively understand what the famous Black-Scholes model says
5) solidify an understanding of business and economic news about financial markets.
この授業を履修することで学部等のディプロマポリシーに示されたどの能力を習得することができるか（該当授業科目と学位授与方針に明示された学習成果との関連）Which item of the diploma policy will be obtained by taking this class?
This course is strongly related to the "DP1-1", and "DP4" diploma policies and fairly related to the "DP1-3", "DP1-4", "DP2-1", and "DP2-2" policies.
授業で使用する言語Default language used in class
英語 / English
授業の進め方と方法Method(s)（学期の途中で変更になる場合には、別途提示します。 /If the Method(s) is changed, we will announce the details of any changes. ）
This course is basically lecture-based, but wide open to active participation in class. The lecturer encourages students to ask and answer questions in an interactive manner. By reviewing assignments, feedback will be provided.
アクティブラーニング（グループディスカッション、ディベート等）の実施Active learning in class (Group discussion, Debate.etc.)
あり / Yes
フィールドワーク（学外での実習等）の実施Fieldwork in class
なし / No
授業計画Schedule
授業形態/methods of teaching：対面/face to face
※各回の授業形態は予定です。教員の指示に従ってください。
1[対面/face to face]：Illustrating concrete examples of derivatives,
Introduction to Forwards and Futures
-forward contract characteristics
-long (short) forward payoff, and profit and loss, and its diagram
-counter party credit risk
-futures contract
2[対面/face to face]：Introduction to Call Options: Part 1
-call option characteristics
-long (short) call payoff, and profit and loss
3[対面/face to face]：Introduction to Put Options: Part 2
-call option moneyness
-early exercising
-comparison of call options and forwards/futures
4[対面/face to face]：Introduction to Put Options
-put option characteristics
-long (short) put payoff, and profit and loss
-put option moneyness
-early exercising
-comparison of put options, call options, and forwards/futures
5[対面/face to face]：Useful Quantitative Concepts for Pricing and Valuation: Part 1
-compounding conventions
-calculating future value and present value
-identifying continuously compounded interest rates
6[対面/face to face]：Useful Quantitative Concepts for Pricing and Valuation: Part 2
-volatility and historical standard deviation
-interpretation of standard deviation
-annualized standard deviation
7[対面/face to face]：Useful Quantitative Concepts for Pricing and Valuation: Part 3
- understanding the standard normal cumulative distribution function
- z-score
8[対面/face to face]：Introduction to Pricing and Valuation: Part 1
-concepts of price and value of a forward contract
-forward price
-forward value
9[対面/face to face]：Introduction to Pricing and Valuation: Part 2
-option value: Black-Scholes model
-calculating the Black-Scholes model
-Black-Scholes model assumptions
-implied volatility
10[対面/face to face]：Understanding Pricing and Valuation: Part 1
-review of payoff, price, and value equations
-risk-neutral valuation
-probability and expected value concepts
11[対面/face to face]：Understanding Pricing and Valuation: Part 2
-understanding the Black-Scholes equation for call and put values
-understanding the equation for forward and futures price
12[対面/face to face]：The Binomial Option Pricing Model: Part 1
-option valuation based on one-period binomial model
13[対面/face to face]：The Binomial Option Pricing Model: Part 2
-two-period binomial model
-multi-period binomial model
14[対面/face to face]：Wrap-up and In-Class Final Exam
-brief summary
-final examination
授業時間外の学習（準備学習・復習・宿題等）Work to be done outside of class (preparation, etc.)
Students should read course materials before class and should not miss the deadline for homework assignments. Preparatory study and review time for this class are 2 hours each.
テキスト（教科書）Textbooks
Gottesman, Aron, Derivatives Essentials: An Introduction to Forwards, Futures, Options, and Swaps, John Wiley & Sons, Inc., 1st edition, 2016.
参考書References
Hull, John C., Fundamentals of Futures and Options Markets, Pearson Education Limited, 9th and global edition, 2022 (previous versions would be okay as well).
成績評価の方法と基準Grading criteria
Grading will be decided based on the following:
in-class contribution (20%),
homework assignments (30%),
and final examination (50%).
学生の意見等からの気づきChanges following student comments
Topics covered in every lesson are connected and get more complicated in ascending order. Whenever possible, the lecturer will try to make explanations much easier and more intuitively to understand so that students won't get lost.
学生が準備すべき機器他Equipment student needs to prepare
The Microsoft Excel will be often used during class. Please make yourself familiar with the basic usage of it.
Prerequisites
It is advisable that students have taken the Introduction to Finance and/or Introduction to Statistics, or have equivalent knowledge. Those prerequisites would be helpful for getting right to the point, although the lecturer will explain useful quantitative concepts including compounding and discounting of cash flows, and some descriptive statistics for pricing derivatives, from the basics.